AAXJ Options History — October 2018

In October 2018, AAXJ traded between $60.68 and $70.39. ATM implied volatility averaged 23.4%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.9% (HV 20d: 19.5%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 6.75.

Notable Days

  • 2018-10-02: Highest Volume — 5,469 contracts
  • 2018-10-31: Largest IV drop — 32.7% change
  • 2018-10-24: Highest IV Rank — 79.2%
  • 2018-10-24: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.79$60.68$70.39$70.39$63.13
Max Pain$69.22$68.00$71.00$71.00$69.00
ATM IV23.4%17.9%29.7%17.9%19.2%
Expected Move6.7%5.0%8.5%5.1%5.5%
HV 20d19.5%14.6%26.3%15.0%26.3%
HV 60d18.4%16.8%20.7%16.9%20.7%
IV Rank57.9%39.2%79.2%39.2%43.6%
IV Percentile90.0%65.5%98.8%65.5%70.2%
Term Structure-1.6%-11.3%5.1%0.7%5.1%
VWIV22.2%13.6%37.7%16.7%31.2%
Skew 25d5.2%0.1%16.7%2.8%4.5%
Skew 10d8.6%-0.2%17.1%4.8%11.8%
Call IV 25d23.0%16.2%33.2%16.2%24.9%
Put IV 25d28.2%19.0%40.6%19.0%29.4%
Bid-Ask Spread %87.0158.83129.9458.83129.94
Gamma HHI0.540.430.630.460.61
Net GEX-373.3K-438.0K-263.5K-275.6K-380.0K
Net DEX10.0M6.1M12.1M6.1M10.7M
Net VEX-126.2K-135.0K-108.9K-130.2K-121.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.754.949.204.946.53
Total Volume5,241.8265,0275,4695,3965,275
Total OI5,600.5225,3825,7065,6575,430

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$70.39$71.0017.9%5.1%15.0%39.2%16.7%2.8%0.7%-275.6K6.1M-130.2K4.9458.83N/AN/A9094,4871,0454,612
2018-10-02$69.29$71.0018.2%5.2%15.3%40.3%20.3%3.7%0.1%-263.5K6.3M-129.7K5.0167.63N/AN/A9104,5591,0454,612
2018-10-03$68.56$71.0018.5%5.3%14.6%41.2%19.7%3.0%1.8%-289.0K7.1M-133.8K5.3478.49N/AN/A8474,5241,0454,646
2018-10-04$66.88$68.0019.0%6.0%16.9%42.9%14.4%0.1%1.9%-294.8K9.1M-135.0K5.3599.13N/AN/A8484,5349524,683
2018-10-05$66.36$69.0022.1%6.2%16.9%53.5%19.9%4.8%-0.7%-389.3K9.4M-130.2K5.3567.22N/AN/A8484,5349484,693
2018-10-08$66.28$69.0022.2%5.0%16.7%53.9%17.7%3.3%3.5%-371.7K9.6M-128.3K6.8675.57N/AN/A6614,5349484,692
2018-10-09$65.80$69.0020.9%5.7%16.9%49.3%16.8%4.0%-1.9%-368.8K9.8M-127.6K6.8677.43N/AN/A6614,5349564,692
2018-10-10$64.10$69.0023.7%6.8%18.5%58.8%13.6%7.9%-0.7%-372.4K11.1M-128.9K6.8694.03N/AN/A6614,5359574,691
2018-10-11$63.51$69.0025.4%7.3%17.4%64.7%30.6%6.5%0.9%-407.5K11.4M-129.5K6.86107.61N/AN/A6614,5359574,699
2018-10-12$64.87$69.0024.6%7.1%19.6%62.0%14.0%6.4%-6.2%-371.1K10.3M-129.1K6.9095.11N/AN/A6614,5649574,705
2018-10-15$64.38$69.0023.0%6.6%19.2%56.5%16.4%16.7%-7.4%-367.5K10.5M-127.3K6.9089.96N/AN/A6634,5769574,735
2018-10-16$65.50$69.0021.6%6.2%20.0%51.8%20.6%3.2%-0.2%-423.2K10.2M-126.2K6.9076.48N/AN/A6634,5769594,747
2018-10-17$64.68$69.0023.4%6.7%19.4%57.7%19.3%7.7%-2.5%-434.6K10.7M-128.6K6.9193.55N/AN/A6624,5769594,746
2018-10-18$63.28$69.0024.3%7.0%19.6%61.1%19.9%4.8%-0.9%-433.2K11.9M-124.3K6.9178.88N/AN/A6624,5769594,746
2018-10-19$64.01$69.0023.0%6.6%20.3%56.5%19.3%4.7%-0.6%-390.0K11.7M-126.4K6.9179.49N/AN/A6624,5769594,746
2018-10-22$64.81$69.0023.6%6.8%21.0%58.4%18.3%4.7%-0.4%-375.4K10.1M-125.8K9.1870.32N/AN/A4944,5339204,602
2018-10-23$63.99$69.0025.3%7.3%21.0%64.4%19.3%4.4%-1.4%-379.4K10.4M-124.9K9.1880.09N/AN/A4944,5339254,602
2018-10-24$62.49$69.0029.7%8.5%21.8%79.2%33.4%4.0%-7.2%-362.3K10.7M-124.7K9.2081.85N/AN/A4944,5449254,602
2018-10-25$63.04$69.0027.3%7.8%22.3%71.0%32.0%5.9%-3.9%-390.8K10.9M-123.4K6.6785.07N/AN/A6814,5449254,641
2018-10-26$62.04$69.0028.0%8.0%22.6%73.4%34.3%6.5%-1.9%-428.2K11.1M-119.3K6.5580.92N/AN/A6944,5447414,641
2018-10-29$60.68$69.0028.9%8.3%23.1%76.6%37.7%6.4%-11.3%-379.3K9.0M-108.9K6.58110.61N/AN/A6944,5647544,641
2018-10-30$62.01$69.0028.5%8.2%25.1%75.2%25.9%4.4%-3.4%-438.0K12.1M-119.1K6.53122.98N/AN/A7014,5747544,661
2018-10-31$63.13$69.0019.2%5.5%26.3%43.6%31.2%4.5%5.1%-380.0K10.7M-121.5K6.53129.94N/AN/A7014,5747594,671